Is Arch Useful in High Frequency Foreign Exchange Applications?

2003 ◽  
Author(s):  
Brad Jones
Keyword(s):  
Foreign Exchange ◽  
High Frequency

MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS

2003 ◽  
Vol 7 (04) ◽  
Author(s):  
ÒSCAR JORDÀ ◽  
MASSIMILIANO MARCELLINO
Keyword(s):  
Foreign Exchange ◽  
High Frequency ◽  
Data Dynamics ◽  
Exchange Data

scholarly journals KAJIAN TERHADAP STRUKTUR MIKRO PASAR VALAS ANTAR BANK DOMESTIK

2004 ◽  
Vol 7 (1) ◽  
Author(s):  
Aida S. Budiman ◽  
Nanang Hendarsah ◽  
M. Noor Nugroho ◽  
Evy Silviani
Keyword(s):  
Foreign Exchange ◽  
Business Intelligence ◽  
High Frequency ◽  
Foreign Bank ◽  
Short Term ◽  
Credit Line ◽  
National Bank ◽  
On Line ◽  
Analytical Processing ◽  
Intelligence Application

Price fluctuation on foreign exchange induces a complex consequences on financial market. Understanding micro structure of forex market and their linkage to other market will help central bank to maintain ‘targeted’ value of Rupiah and to ensure the economy recovery post crisis. We apply business intelligence application namely On-Line Analytical Processing (OLAP) to deal with huge and high frequency data from Pusat Informasi Pasar Uang (PIPU) during period of January 2003 up to 20 June 2003. Using this tool, we can analyze characteristic of any observable market blocks including market clearance status and their inter-linkage (flow of transactions). The result shows that swap transaction dominates foreign exchange transaction, followed by spot and forward. The swap transaction is mostly used to maintain short term liquidity in inter bank market. From all of the three types of transaction, foreign bank plays important role because they have ‘greater’ access on Pasar Uang Antar Bank (PUAB), meanwhile national bank face credit line policy hence 90% of foreign exchange placement is directed to foreign bank.

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